Haven't you guys heard, that there is a way, using "Subclassing and/or Hooking"...?
I'm looking for examples using either subclassing or hooking, which allows you to intercept any dialog box anywhere in windows, including webbrowser control or IE's File Download dialog, look up the book "Subclassing and Hooking with Visual Basic" - it is available on google's ebook archive, searchable and readable, i am in the middle of reading it but I am trying to figure out the parameters and what to look for and how to implement this for the File Download dialog box in particular.
And IDownloadManager implementation will not work for VB6, and i'm tired of seeing that as a solution - because it's not. Using subclassing, you can get all the details of the dialog box, and the details of the controls on the dialog box, then you can automatically change the values in the location section, and click the Save button, all WITHOUT THE DIALOG EVER BEING SHOWN TO ANY OF THE USERS, the download will begin, and the dialog will never be seen, because you are intercepting it and taking control of it instead of the default procedure that would take control of it.
Search on google to find some examples, I've spent my last two days on this.
You can read the whole book here (since its no longer copy-right protected):
http://ebookbrowse.com/subclassing-and-hooking-with-visual-basic-pdf-d319133138
Mainly for VB6 but includes chapters for VB.NET as well.
There is a download button on the top if you prefer to download and view/read on your pdf reader or iPad/iPhone/Kindle :). Hopefully, someone figures out a solution, as i know there are solutions in .NET.